Optimal detection of homogeneous segment of observations in stochastic sequence

A Markov process is registered. At random moment $\theta$ the distribution of observed sequence changes. Using probability maximizing approach the optimal stopping rule for detecting the change is identified. Some explicit solution is obtained.Comment: 13 page

Wykrywanie jednorodnych segmentów obserwacji w finansowych szeregach czasowych

The aim of this article is to present financial data modelling in presence of stochastic disorders. Change-point analysis is applied. We adapt universal method of change-point detection for disorder in parameters of GARCH processes. A comparison of the model fitted to whole sample with models built on homogenous data subset is made.Praca podejmuje zagadnienie modelowania finansowych szeregów czasowych w obecności rozregulowań struktury probabilistycznej. Zmiany wykrywane są za pomocą uniwersalnej metody detekcji zaadaptowanej do wykrywania rozregulowań w parametrach procesów typu GARCH. Przeprowadzona została statystyczna analiza jakości modeli uwzględniających wykryte zaburzenia z modelami, które zakładają iż ciąg danych ma jednorodną strukturę probabilistyczną.Zadanie pt. Digitalizacja i udostępnienie w Cyfrowym Repozytorium Uniwersytetu Łódzkiego kolekcji czasopism naukowych wydawanych przez Uniwersytet Łódzki nr 885/P-DUN/2014 zostało dofinansowane ze środków MNiSW w ramach działalności upowszechniającej naukę

Wykrywanie jednorodnych segmentów obserwacji w finansowych szeregach czasowych

The aim of this article is to present financial data modelling in presence of stochastic disorders. Change-point analysis is applied. We adapt universal method of change-point detection for disorder in parameters of GARCH processes. A comparison of the model fitted to whole sample with models built on homogenous data subset is made.Praca podejmuje zagadnienie modelowania finansowych szeregów czasowych w obecności rozregulowań struktury probabilistycznej. Zmiany wykrywane są za pomocą uniwersalnej metody detekcji zaadaptowanej do wykrywania rozregulowań w parametrach procesów typu GARCH. Przeprowadzona została statystyczna analiza jakości modeli uwzględniających wykryte zaburzenia z modelami, które zakładają iż ciąg danych ma jednorodną strukturę probabilistyczną

On-line detection of a part of a sequence with unspecified distribution

We register a Markov process. At two random moments [theta]1, [theta]2, where [theta]1

Chorzy trudni typowiThrombus in transit – dwa przypadki masywnej zatorowości płucnej leczone trombolitycznie

Two cases of large, free-floating right heart thrombi in patients with massive pulmonary embolism and a history of deep vein thrombosis are presented. In a 30-year-old male with prominent obesity and a history of hypertension, disappearance of the thrombus at the end of alteplase infusion coexisted with onset of haemodynamic stabilization. In a 70-year-old female, the thrombus, which persisted despite streptokinase administration, translocated suddenly (during echocardiography) to the pulmonary artery, which resulted in a deterioration in her status. After alteplase administration following heparin infusion, steady clinical and echocardiographic improvement was observed

Thermal and Fatigue Evaluation of Asphalt Mixtures Containing RAP Treated with a Bio-Agent

Environment conservation and diminishing natural resources caused an increase in popularity of the application of renewable bio-origin resources for the construction of road pavement. Currently, there are known additions of bio-origin materials for bitumen modification. Such material is also used as a flux additive for bitumen or as a rejuvenator once working with reclaimed asphalt pavement (RAP). This paper presents research dealing with asphalt mixtures with RAP modified with a bio-agent of rapeseed origin. The main idea of the conducted research was to apply more RAP content directly to the batch mix plant without extra RAP heating. The RAP used in this study was milled from a base asphalt layer; the addition of RAP stiffens new asphalt mixtures. A bio-agent, due to its fluxing action, was used to support the asphalt mixing process and to decrease the over-stiffening of the mixture caused by RAP addition. This research includes bitumen and mixture tests. For the bitumen study, three different bitumens (35/50, 50/70, and 70/100) were tested in a dynamic shear rheometer (DSR) for complex modulus G* and for phase angle |δ| in the temperature range 0–100 °C. The reference mixture and mixtures with 2.5% bio-agent were tested to assess the influence of RAP and the bio-agent addition on the asphalt mixture properties. Low temperature behavior (TSRST), stiffness, and fatigue resistance (4PB) were tested. Based on the bitumen test, it was determined that even a low rate of bio-agent (2.5%) beneficially changes bitumen properties at a low temperature; moreover, polymerization processes occurring in the second stage of the process improves bitumen properties at a high operational temperature. The research with these asphalt mixtures demonstrates that the bio-origin flux acts as a rejuvenator and allows for an application of 30% cold RAP. Thermal cracking resistance of the mixture with RAP and 2.5% bio-agent improved. The bio-agent removes unfavorable stiffening of RAP and increases the fatigue resistance of the asphalt mixture